The Mass Quote (S) message can contain quotes for multiple securities to support applications that allow for the mass quoting of an option series. Two levels of repeating groups have been provided to minimize the amount of data required to submit a set of quotes for a class of options (e.g. all option series for IBM).
A QuoteSet specifies the first level of repeating fields for the Mass Quote (S) message. It represents a group of related quotes and can, for example, represent an option class.
Each QuoteSet contains an optional repeating group of QuoteEntries which can represent an option series.
It is possible the number of Quote (S) Entries for a Quote (S) Set (option class) could exceed ones physical or practical message size. It may be necessary to fragment a message across multiple quote messages. Message size limits must be mutually agreed to with ones counterparties.
The grouping of quotes is as follows:
NoQuoteSets – specifies the number of sets of quotes contained in the message
QuoteSetID – Is a unique ID given to the QuoteSet
Information regarding the security to which all of the quotes belong
TotQuoteEntries – defines the number of quotes for the QuoteSet across all messages
NoQuoteEntries – defines the number of quotes contained within this message for this QuoteSet
QuoteEntryID – Is a unique ID given to a specific quote entry
Information regarding the specific quote (bid/ask size and price)
If there are too many Quote (S) Entries for a Quote (S) Set to fit into one physical message, then the quotes can be continued in another Mass Quote (S) message by repeating all of the QuoteSet information and then specifying the number of Quote (S) Entries (related symbols) in the continued message. The TotQuoteEntries is provided to optionally indicate to the counterparty the total number of Quote (S) Entries for a Quote (S) Set in multiple quote messages. This permits, but does not require, a receiving application to react in a stateful manner where it can determine if it has received all quotes for a Quote (S) Set before carrying out some action. However, the overall approach to fragmentation is to permit each mass quote message to be processed in a stateless manner as it is received. Each mass quote message should contain enough information to have the Quote (S) Entries applied to a market without requiring the next message if fragmentation has occurred. Also, a continued message should not require any information from the previous message.
Maximum message size for fragmentation purposes can be determined by using the optional MaxMessageSize (383) field in the Logon message or by mutual agreement between counterparties.
Requesting Acknowledgement for Mass Quotes
Applications can optionally support acknowledgement of quotes using the QuoteResponseLevel field. The QuoteResponseLevel is used to specify the level of acknowledgement requested from the counterparty. A QuoteResponseLevel of 0 indicates that no acknowledgement is requested. A ResponseLevel of 1 requests acknowledgement of invalid or erroneous quotes. A QuoteResponseLevel of 2 requests acknowledgement of each Mass Quote message.
| Tag | Field Name | FIXML | Req'd | Comments | |||
|---|---|---|---|---|---|---|---|
| <Standard Message Header> | Y | MsgType = i | |||||
| 131 | QuoteReqID | @ReqID | N | Required when quote is in response to a Quote Request (R) message | |||
| 117 | QuoteID | @QID | Y | ||||
| 537 | QuoteType | @Typ | N | Type of Quote.Default is Indicative if not specified | |||
| 301 | QuoteResponseLevel | @RspLvl | N | Level of Response requested from receiver of quote messages. | |||
| <Parties> | N | Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages". | |||||
| 1 | Account | @Acct | N | ||||
| 660 | AcctIDSource | @AcctIDSrc | N | ||||
| 581 | AccountType | @AcctTyp | N | Type of account associated with the order (Origin) | |||
| 293 | DefBidSize | @DefBidSz | N | Default Bid Size for quote contained within this quote message - if not explicitly provided. | |||
| 294 | DefOfferSize | @DefOfrSz | N | Default Offer Size for quotes contained within this quote message - if not explicitly provided. | |||
| <QuotSetGrp> | Y | The number of sets of quotes in the message | |||||
| <Standard Message Trailer> | Y | ||||||
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